White Mountains’s portfolio of investment securities held for general investment purposes consists of fixed maturity investments, short-term investments, common equity securities, its investment in MediaAlpha and other long-term investments, which are classified as trading securities. Trading securities are reported at fair value as of the balance sheet date. Net realized and unrealized investment gains (losses) on trading securities are reported in pre-tax revenues.

White Mountains’s fixed maturity investments are generally valued using industry standard pricing methodologies. Key inputs include benchmark yields, benchmark securities, reported trades, issuer spreads, bids, offers, credit ratings and prepayment speeds. Income on mortgage and asset-backed securities is recognized using an effective yield based on anticipated prepayments and the estimated economic life of the securities. When actual prepayments differ significantly from anticipated prepayments, the estimated economic life is recalculated and the remaining unamortized premium or discount is amortized prospectively over the remaining economic life.

Realized investment gains (losses) resulting from sales of investment securities are accounted for using the specific identification method. Premiums and discounts on all fixed maturity investments are amortized or accreted to income over the anticipated life of the investment. Short-term investments consist of interest-bearing money market funds, certificates of deposit and other securities, which at the time of purchase, mature or become available for use within one year. Short-term investments are carried at fair value, which approximated amortized cost, as of September 30, 2021 and December 31, 2020.

Other long-term investments consist primarily of unconsolidated entities, including Kudu’s Participation Contracts, private equity funds, a hedge fund, Lloyd’s trust deposits, a bank loan fund, insurance-linked securities funds (“ILS funds”) and private debt investments.

White Mountains’s net investment income is comprised primarily of interest income associated with White Mountains’s fixed maturity investments and short-term investments, dividend income from common equity securities, distributions from its investment in MediaAlpha and distributions from other long-term investments.


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
Millions	2021		2020		2021		2020
Fixed maturity investments	$	8.2	$	7.0	$	21.9	$	22.4
Short-term investments	—		.1		.5		1.0
Common equity securities	.1		.5		.1		6.5

Investment in MediaAlpha	—		55.0		—		60.0
Other long-term investments	12.0		8.9		37.1		24.7
Amount attributable to TPC Providers	(.2)		—		(.8)		—
Total investment income	20.1		71.5		58.8		114.6
Third-party investment expenses	(.6)		(.3)		(1.6)		(.9)
Net investment income, pre-tax	$	19.5	$	71.2	$	57.2	$	113.7


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
Millions	2021		2020		2021		2020
Fixed maturity investments	$	(6.8)	$	3.6	$	(23.2)	$	35.8
Short-term investments	(.3)		—		—		.4
Common equity securities	1.6		48.4		7.7		5.9
Investment in MediaAlpha	(396.8)		250.0		(325.5)		295.0
Other long-term investments	37.7		4.6		113.2		(34.3)
Amount attributable to TPC Providers	(1.7)		—		(6.5)		—
Net realized and unrealized investment (losses) gains(1)	(366.3)		306.6		(234.3)		302.8
Less: net (losses) gains on investment securities sold during the period	(4.8)		36.1		(5.1)		29.6
Net realized and unrealized investment (losses) gains on investment securities held at the end of the period	$	(361.5)	$	270.5	$	(229.2)	$	273.2

(1) For the three months ended September 30, 2021 and 2020, includes $(7.0) and $0.8 of realized and unrealized investment gains (losses) related to foreign currency exchange. For the nine months ended September 30, 2021 and 2020, includes $(7.4) and $(0.8) of realized and unrealized investment gains (losses) related to foreign currency exchange.

The following table presents total gains included in earnings attributable to net unrealized investment gains for Level 3 investments for the three and nine months ended September 30, 2021 and 2020 for investments still held at the end of the period:


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
Millions	2021		2020		2021		2020



Other long-term investments	$	26.5	$	260.1	$	75.5	$	276.0
Total net unrealized investment gains, pre-tax - Level 3 investments	$	26.5	$	260.1	$	75.5	$	276.0


	September 30, 2021
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
U.S. Government and agency obligations	$	207.4	$	.8	$	(.6)	$	—	$	207.6
Debt securities issued by corporations	945.2		13.1		(3.4)		(.7)		954.2
Municipal obligations	276.1		18.0		(.7)		—		293.4
Mortgage and asset-backed securities	247.3		4.2		(1.4)		—		250.1

Collateralized loan obligations	128.5		—		(.4)		(.5)		127.6
Total fixed maturity investments	$	1,804.5	$	36.1	$	(6.5)	$	(1.2)	$	1,832.9


	December 31, 2020
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Gains (Losses)		Carrying Value
U.S. Government and agency obligations	$	173.2	$	3.1	$	—	$	176.3
Debt securities issued by corporations	522.8		24.7		(.1)		547.4
Municipal obligations	244.0		21.0		—		265.0
Mortgage and asset-backed securities	211.7		6.8		—		218.5


Total fixed maturity investments	$	1,151.7	$	55.6	$	(.1)	$	1,207.2

The following table presents the cost or amortized cost and carrying value of White Mountains’s fixed maturity investments by contractual maturity as of September 30, 2021. Actual maturities could differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties.


	September 30, 2021
Millions	Cost or Amortized Cost		Carrying Value
Due in one year or less	$	111.9	$	112.7
Due after one year through five years	836.1		843.4
Due after five years through ten years	368.5		377.3
Due after ten years	112.2		121.8
Mortgage and asset-backed securities and collateralized loan obligations	375.8		377.7

Total fixed maturity investments	$	1,804.5	$	1,832.9

The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains (losses), and carrying values of common equity securities, White Mountains’s investment in MediaAlpha and other long-term investments as of September 30, 2021 and December 31, 2020:


	September 30, 2021
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
Common equity securities	$	152.5	$	8.8	$	(.5)	$	(1.2)	$	159.6
Investment in MediaAlpha	$	—	$	316.4	$	—	$	—	$	316.4

Other long-term investments	$	1,154.7	$	197.6	$	(62.9)	$	(3.9)	$	1,285.5


	December 31, 2020
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value

Investment in MediaAlpha	$	—	$	802.2	$	—	$	—	$	802.2

Other long-term investments	$	767.4	$	95.8	$	(78.1)	$	1.7	$	786.8

The following tables present White Mountains’s fair value measurements for investments as of September 30, 2021 and December 31, 2020 by level. The major security types were based on the legal form of the securities. White Mountains has disaggregated its fixed maturity investments based on the issuing entity type, which impacts credit quality, with debt securities issued by U.S. government entities carrying minimal credit risk, while the credit and other risks associated with other issuers, such as corporations, municipalities or entities issuing mortgage and asset-backed securities vary depending on the nature of the issuing entity type. White Mountains further disaggregates debt securities issued by corporations by industry sector because investors often reference commonly used benchmarks and their subsectors to monitor risk and performance. Accordingly, White Mountains has further disaggregated this asset class into subclasses based on the similar sectors and industry classifications it uses to evaluate investment risk and performance against commonly used benchmarks, such as the Bloomberg Barclays U.S. Intermediate Aggregate.


	September 30, 2021
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	207.6	$	207.6	$	—	$	—

Debt securities issued by corporations:
Financials	246.5		—		246.5		—
Consumer	180.5		—		180.5		—
Industrial	114.8		—		114.8		—
Technology	110.8		—		110.8		—
Healthcare	98.2		—		98.2		—
Utilities	69.9		—		69.9		—
Communications	53.2		—		53.2		—
Energy	47.0		—		47.0		—
Materials	33.3		—		33.3		—

Total debt securities issued by corporations	954.2		—		954.2		—

Municipal obligations	293.4		—		293.4		—
Mortgage and asset-backed securities	250.1		—		250.1		—

Collateralized loan obligations	127.6		—		127.6		—
Total fixed maturity investments	1,832.9		207.6		1,625.3		—

Short-term investments	609.5		601.6		7.9		—

Common equity securities (1)	159.6		—		159.6		—
Investment in MediaAlpha	316.4		316.4		—		—














Other long-term investments	814.5		—		—		814.5
Other long-term investments — NAV (2)	471.0		—		—		—
Total other long-term investments	1,285.5		—		—		814.5
Total investments	$	4,203.9	$	1,125.6	$	1,792.8	$	814.5

(2) Consists of private equity funds, a hedge fund, Lloyd’s trust deposits, a bank loan fund and ILS funds for which fair value is measured at NAV using the practical expedient. Investments for which fair value is measured at NAV are not classified within the fair value hierarchy.


	December 31, 2020
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	176.3	$	176.3	$	—	$	—

Debt securities issued by corporations:
Financials	133.9		—		133.9		—
Consumer	81.9		—		81.9		—
Industrial	66.9		—		66.9		—
Technology	66.7		—		66.7		—
Healthcare	51.5		—		51.5		—
Communications	44.5		—		44.5		—
Energy	35.8		—		35.8		—
Materials	33.9		—		33.9		—
Utilities	32.3		—		32.3		—

Total debt securities issued by corporations	547.4		—		547.4		—

Municipal obligations	265.0		—		265.0		—
Mortgage and asset-backed securities	218.5		—		218.5		—


Total fixed maturity investments	1,207.2		176.3		1,030.9		—

Short-term investments	142.9		142.9		—		—

Investment in MediaAlpha	802.2		802.2		—		—















Other long-term investments	614.2		—		—		614.2
Other long-term investments — NAV (1)	172.6		—		—		—
Total other long-term investments	786.8		—		—		614.2
Total investments	$	2,939.1	$	1,121.4	$	1,030.9	$	614.2

(1) Credit ratings are based upon issuer credit ratings provided by Standard & Poor’s Financial Services LLC (“Standard & Poor’s”), or if unrated by Standard & Poor’s, long-term obligation ratings provided by Moody’s Investor Service, Inc.


	September 30, 2021						December 31, 2020
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
FNMA	$	125.3	$	125.3	$	—	$	88.7	$	88.7	$	—
FHLMC	76.5		76.5		—		70.1		70.1		—
GNMA	29.4		29.4		—		40.6		40.6		—
Total agency (1)	231.2		231.2		—		199.4		199.4		—

Non-agency: Residential	.6		.6		—		—		—		—

Total non-agency	.6		.6		—		—		—		—
Total mortgage-backed securities	231.8		231.8		—		199.4		199.4		—
Other asset-backed securities:
Credit card receivables	11.2		11.2		—		11.3		11.3		—
Vehicle receivables	7.1		7.1		—		7.8		7.8		—

Total other asset-backed securities	18.3		18.3		—		19.1		19.1		—
Total mortgage and asset-backed securities	250.1		250.1		—		218.5		218.5		—
Collateralized loan obligations	127.6		127.6		—		—		—		—
Total mortgage and asset-backed securities and collateralized loan obligations	$	377.7	$	377.7	$	—	$	218.5	$	218.5	$	—

As of September 30, 2021, White Mountains’s investment portfolio included $127.6 million of collateralized loan obligations that are within the senior tranches of their respective fund securitization structures. All of White Mountains’s collateral loan obligations were rated AAA or AA as of September 30, 2021.

Subsequent to the MediaAlpha IPO, White Mountains’s investment in MediaAlpha is accounted for at fair value based on the publicly traded share price of MediaAlpha’s common stock and is presented as a separate line item on the balance sheet.


	Fair Value at
Millions	September 30, 2021		December 31, 2020
Kudu’s Participation Contracts	$	604.7	$	400.6
PassportCard/DavidShield	105.0		95.0
Elementum Holdings L.P.	56.7		55.1
Other unconsolidated entities (1)	27.0		42.4





Total unconsolidated entities	793.4		593.1
Private equity funds and hedge funds	144.2		121.2

Bank loan fund	161.7		—
Lloyd’s trust deposits	111.2		—
ILS funds	53.9		51.4
Private debt investments	13.3		21.1
Other	7.8		—
Total other long-term investments	$	1,285.5	$	786.8

(1) Includes White Mountains’s non-controlling equity interests in certain private common equity securities, limited liability companies and convertible preferred securities and Simple Agreement for Future Equity (“SAFE”) investments.

White Mountains invests in private equity funds and hedge funds, which are included in other long-term investments. The fair value of these investments is generally estimated using the net asset value (“NAV”) of the funds. As of September 30, 2021, White Mountains held investments in fourteen private equity funds and one hedge fund. The largest investment in a single private equity fund or hedge fund was $27.4 million as of September 30, 2021 and $29.1 million as of December 31, 2020.


	September 30, 2021				December 31, 2020
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Private equity funds
Aerospace/Defense/Government	$	63.9	$	14.0	$	69.1	$	15.3
Financial services	63.2		29.6		23.5		30.4
Real estate	4.8		2.9		—		—
Manufacturing/Industrial	.1		—		28.6		—

Total private equity funds	132.0		46.5		121.2		45.7
Hedge funds

European small/mid cap	12.2		—		—		—


Total hedge funds	12.2		—		—		—
Total private equity funds and hedge funds included in other long-term investments	$	144.2	$	46.5	$	121.2	$	45.7

Investments in private equity funds are generally subject to a lock-up period during which investors may not request a redemption. Distributions prior to the expected termination date of the fund may be limited to dividends or proceeds arising from the liquidation of the fund’s underlying investments. In addition, certain private equity funds have the option to extend the lock-up period.

Investors in private equity funds are generally subject to indemnification obligations outside of the capital commitment period and prior to the winding up of the fund. As of September 30, 2021 and December 31, 2020, White Mountains is not aware of any indemnification claims relating to its investments in private equity funds.

Redemption of investments in most hedge funds is subject to restrictions, including lock-up periods where no redemptions or withdrawals are allowed, restrictions on redemption frequency and advance notice periods for redemptions. Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period. White Mountains’s hedge fund investment is subject to a perpetual two-year restriction on redemption frequency from the initial investment in the fund and a 90-days advanced notice period requirement.

White Mountains’s other long-term investments include Lloyd’s trust deposits, which consists of overseas deposits and Canadian comingled pooled funds. The Lloyd’s trust deposits invest primarily in short-term government securities, agency securities and corporate bonds held in trusts that are managed by Lloyd's of London. These investments are required of Lloyd's syndicates to protect policyholders in overseas markets and are pledged into Lloyd’s trust accounts to provide a portion of the capital needed to support obligations at Lloyd’s. The fair value of the Lloyd’s trust deposits is generally estimated using the NAV of the funds. As of September 30, 2021, White Mountains held Lloyd’s trust deposits with a fair value of $111.2 million.

White Mountains’s other long-term investments include a bank loan fund with a fair value of $161.7 million as of September 30, 2021. The fair value of this investment is estimated using the NAV of the fund. The bank loan fund’s investment objective is to provide, on an unleveraged basis, high current income consistent with preservation of capital and low duration. The bank loan fund primarily invests in a broad portfolio of U.S. dollar-denominated, non-investment grade, floating-rate senior secured loans and may invest in other financial instruments, such as secured and unsecured corporate debt, credit default swaps, reverse repurchase agreements and synthetic indices and cash and cash equivalents.

The investment in the bank loan fund is subject to restrictions on redemption frequency and advance notice periods for redemptions. Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period. White Mountains may redeem all or a portion of its bank loan fund investment as of any calendar month-end upon 15 calendar days advanced written notice.

White Mountains’s other long-term investments include ILS fund investments. The fair value of these investments is generally estimated using the NAV of the funds. As of September 30, 2021, White Mountains held investments in ILS funds with a fair value of $53.9 million.

Investments in ILS funds are generally subject to restrictions, including lock-up periods where no redemptions or withdrawals are allowed, non-renewal clauses, restrictions on redemption frequency and advance notice periods for redemptions. From time to time, natural catastrophe, liquidity, market or other events will occur that make the determination of fair value for underlying investments in ILS funds less certain due to the potential for loss development. In such circumstances, the impacted investments may be subject to additional lock-up provisions.

ILS funds are typically subject to monthly and annual restrictions on redemptions and advance redemption notice period requirements that range between 30 and 90 days. Amounts requested for redemption remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period.

One of the ILS funds in White Mountains’s portfolio requires shareholders to provide advance redemption notice on or before September 15 of each calendar year. Amounts requested for redemption in this fund remain subject to market fluctuation until the underlying investment has fully matured or been commuted, which may be up to a period of three years from the start of each calendar year.

White Mountains uses quoted market prices where available as the inputs to estimate fair value for its investments in active markets. Such measurements are considered to be either Level 1 or Level 2 measurements, depending on whether the quoted market price inputs are for identical securities (Level 1) or similar securities (Level 2). Level 3 measurements for fixed maturity investments, common equity securities and other long-term investments as of September 30, 2021 and 2020 consist of securities for which the estimated fair value has not been determined based upon quoted market price inputs for identical or similar securities.


					Level 3 Investments		Other Long-term Investments Measured at NAV (1)
Millions	Level 1 Investments		Level 2 Investments		Other Long-term Investments				Total
Balance at December 31, 2020	$	978.5	$	1,030.9	$	614.2	$	172.6	$	2,796.2	(2)
Net realized and unrealized gains (losses)	(327.6)		(13.1)		79.0		33.9		(227.8)		(3)

Amortization/Accretion	(.1)		(5.9)		—		—		(6.0)
Purchases	130.9		989.7		143.6		199.6		1,463.8
Sales	(257.7)		(284.9)		(31.9)		(70.9)		(645.4)


Effect of Ark Transaction	—		68.2		9.6		135.8		213.6
Transfers in	—		—		—		—		—
Transfers out	—		—		—		—		—
Balance at September 30, 2021	$	524.0	$	1,784.9	$	814.5	$	471.0	$	3,594.4	(2)

(1) Consists of private equity funds, a hedge fund, Lloyd’s trust deposits, a bank loan fund, and ILS funds for which fair value is measured at NAV using the practical expedient. Investments for which fair value is measured at NAV are not classified within the fair value hierarchy. See Note 1 — “Basis of Presentation and Significant Accounting Policies”.


							Level 3 Investments		Other Long-term Investments Measured at NAV (1)
Millions	Level 1 Investments		Level 2 Investments		Common Equity Securities		Other Long-term Investments and Investment in MediaAlpha Pre-IPO				Total
Balance at December 31, 2019	$	780.0	$	1,109.6	$	.1	$	654.0	$	202.3	$	2,746.0	(2)
Net realized and unrealized gains (losses)	29.2		12.5		—		275.6		(14.9)		302.4		(3)

Amortization/Accretion	—		(3.0)		—		—		—		(3.0)
Purchases	128.8		316.2		—		78.8		39.8		563.6
Sales	(642.7)		(368.5)		—		(8.1)		(56.3)		(1,075.6)


Transfers in	—		—		—		—		—		—
Transfers out	—		—		—		—		—		—
Balance at September 30, 2020	$	295.3	$	1,066.8	$	.1	$	1,000.3	$	170.9	$	2,533.4	(2)

(1) Includes private equity funds, a hedge fund and ILS funds for which fair value is measured at NAV using the practical expedient are no longer classified within the fair value hierarchy. See Note 1 — “Basis of Presentation and Significant Accounting Policies”.

During the nine months ended September 30, 2021 and 2020, there were no fixed maturity investments or other long-term investments classified as Level 3 measurements in the prior period that were transferred to Level 2 measurements.

During the nine months ended September 30, 2021 and 2020, there were no fixed maturity investments or other long-term investments classified as Level 2 measurements in the prior period that were transferred to Level 3 measurements.

The following tables present significant unobservable inputs used in estimating the fair value of White Mountains’s other long-term investments, classified within Level 3 as of September 30, 2021 and December 31, 2020. The tables below exclude $14.9 million and $27.6 million of Level 3 other long-term investments generally valued based on recent or expected transaction prices. The fair value of investments in private equity funds, hedge funds, Lloyd’s trust deposits, bank loans funds and ILS funds are generally estimated using the NAV of the funds.

$ in Millions

September 30, 2021

Description

Valuation Technique(s) (1)

Fair Value (2)

Unobservable Inputs

Discount Rate (3)(4)

Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (4)

Kudu’s Participation Contracts (5)(6)

Discounted cash flow

$604.7

18% - 23%

7x - 13x

PassportCard/DavidShield

Discounted cash flow

$105.0

23%

Elementum Holdings, L.P.

Discounted cash flow

$56.7

17%

Private debt investments

Discounted cash flow

$11.2

4% - 8%

N/A

Other

Discounted cash flow

$22.0

20% - 24%

(4) Increases (decreases) to the discount rates in isolation would result in lower (higher) fair value measurements, while increases (decreases) to the terminal cash flow exit multiples or terminal revenue growth rates in isolation would result in higher (lower) fair value measurements.

(5) For the nine months ended September 30, 2021, Kudu deployed a total of $141.6 in new and existing Kudu Participation Contracts, including TIG Advisors, TK Partners, Third Eye Capital Management and Douglass Winthrop Advisors.

(6) As of September 30, 2021, certain Kudu Participation Contracts with a total fair value of $121.0 were valued using a probability weighted expected return method, which was based on a discounted cash flow analysis and an expected sale transaction.

$ in Millions

December 31, 2020

Description

Valuation Technique(s) (1)

Fair Value (2)

Unobservable Inputs

Discount Rate (3)(4)

Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (4)

Kudu’s Participation Contracts (5)

Discounted cash flow

$400.6

18% - 23%

7x - 12x

PassportCard/DavidShield (6)

Discounted cash flow

$95.0

23%

Elementum Holdings, L.P.

Discounted cash flow

$55.1

17%

Private debt investments

Discounted cash flow

$17.1

4% - 8%

N/A

Other

Discounted cash flow

$18.8

20% - 24%